Insurance with Frequent Trading
RECERCAT - Dipòsit de Recerca de Catalunya
the dynamic management of risk in an economy with discrete time consumption and endowments and continuous trading. I study how agents in such an economy deal with all the risk in the economy and attain their Pareto optimal allocations by trading in...
Implications of Dynamic Trading for Insurance Markets
RECERCAT - Dipòsit de Recerca de Catalunya
does not depend on the agents willingness to pay. Agents provide insurance capital by trading an equally weighted portfolio of insurance company shares and riskless asset. We are able to construct agents optimal trading strategies explicitly and for...
Ecologies of Value in a Wall Street Trading Room
RECERCAT - Dipòsit de Recerca de Catalunya
: Our task in this paper is to analyze the organization of trading in the era of quantitative finance. To do so, we conduct an ethnography of arbitrage, the trading strategy that best exemplifies finance in the wake of the quantitative revolution. In...
Insurance with Frequent Trading: A Dynamic Analysis of Efficient Insurance Markets
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José Penalva; Resumen : This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency to a dynamic setting. It in...
Survival and Sensemaking: Organizational Resilience in a Wall Street Trading Room After 9/11
RECERCAT - Dipòsit de Recerca de Catalunya
lost its entire office and trading technology in the terrorist attack of September 11 th. The traders survived, but were forced to relocate to a makeshift trading room in New Jersey. During the six months the traders spent outside New York City, they...
Minimum Price Variations, Time Priority and Quotes Dynamics
RECERCAT - Dipòsit de Recerca de Catalunya
analyze the impact of a minimum price variation (tick) and time priority on the dynamics of quotes and the trading costs... trading outcomes with and without time priority. Time priority is shown to guarantee that uncompetitive spreads cannot be...
Full Insurance, Asymmetric Information and Genetic Testing
RECERCAT - Dipòsit de Recerca de Catalunya
previous resuls on optimal insurance trading in the presence of a stock market that allows continuous asset trading and... trading. Nevertheless, agents can attain their first best allocations, which suggests that the practice of restricting...
Strategic Behavior and Price Discovery
RECERCAT - Dipòsit de Recerca de Catalunya
tatonnement, in the presence of a competitive informed sector. Such processes are used in the preopening period of continuous trading... fundamental value no matter how many rounds the tatonnement has, and that the expected trading volume displays a U-shaped...
Short-term Investment and Equilibrium Multiplicity
RECERCAT - Dipòsit de Recerca de Catalunya
inventory effects, myopic trading behavior generates multiplicity of equilibria. In particular, two distinct patterns arise..., owing to risk aversion, scale back their trading intensity. This, in turn, reduces both risk sharing and information...
A Model of Market-Making
RECERCAT - Dipòsit de Recerca de Catalunya
other agents in order to meet potential trading partners, which requires some communication or interaction between these agents, and second, that in general agents will face trading uncertainty. We consider trade in a homogeneous commodity. Firms decide...
Derivados financieros.
Comunidad Emagister
que presentan. Los contratos de futuros sobre divisas. Trading de futuros sobre divisas. Warrants. Usos del warrant....
2 Opiniones
Constraints and Non-Existence of Rational Expectations Equilibria
RECERCAT - Dipòsit de Recerca de Catalunya
Colabora: Universitat Pompeu Fabra. Departament d'Economia i Empresa Autor/es: José M. Marín; Jacques Olivier; Resumen : In this article we show that in the presence of trading constraints, such as short sale constraints, the standard definition of...
Noise and Aggregation of Information in Large Markets
RECERCAT - Dipòsit de Recerca de Catalunya
, information acquisition in multi-asset markets, and derivatives trading. The limiting equilibria are shown to be perfectly...
Giffen Goods and Market Making
RECERCAT - Dipòsit de Recerca de Catalunya
. In a market with risk averse, uninformed traders, informed agents have a dual motive for trading: speculation and market...
Specificity Revisited: The Role of Cross-Investments
RECERCAT - Dipòsit de Recerca de Catalunya
trading jointly, but only when long-term contracting is infeasible. This paper proves that speciÞcity can also be optimal...
